The best games start with a solid idea of where they are going, and how to get there. A path is laid, so that if everything goes smoothly the GM knows where to go next.
It is also important that the Game World is fleshed out a bit, and alternate paths are charted to get to the final destination.
Finally, once all this preparation is done, the GM has to make the ultimate sacrifice (from the perspective of a world creator). He or she has to give up part of his ownership of this world. He or she has to be willing to let the players take the rains of their character and go with it. The best games are a shared virtual reality created in the minds of the Game Master and the Players. It is not a straight forward game. If players wanted that, they would stick to the computer.
The best game is a living, growing, evolving thing. The characters that you will always remember are not the ones that you spend hours upon hours dredging out of a book filling your head with numbers and lists of powers and plans of grandeur. The character you will remember twenty years from now is the one that got away. The one that woke up one night at the gaming table, leapt forth from your mind, and never returned. The character that took on a life of its own. No matter what you thought you wanted for him or her, they had other ideas.
When the game takes a life of its own, independent of the individual gamers but thriving within the mind of all of them, that is the ultimate game. That is the game that you will find maybe a few times in your life.
It is like the surfer’s ultimate wave, the climber’s ultimate mountain. It is the kind of game that spawns novels that refuse to have a sequel, but leave people begging for one none the same.
I know that as a GM, I can only ever hope to come close to creating such a creature, but it is the goal.